Broad Equity Market Tone:
- Advance/Decline Line: Substantially Lower
- Sector Performance: Almost Every Sector Declining
- Volume: Around Average
- Market Leading Stocks: Underperforming
Equity Investor Angst:
- Volatility(VIX) 20.6 +28.2%
- Euro/Yen Carry Return Index 127.58 -.6%
- Emerging Markets Currency Volatility(VXY) 9.22 +5.61%
- S&P 500 Implied Correlation 42.78 +13.1%
- ISE Sentiment Index 59.0 unch.
- Total Put/Call 1.10 -9.84%
- NYSE Arms 1.65 +61.2%
Credit Investor Angst:
- North American Investment Grade CDS Index 64.29 +5.11%
- America Energy Sector High-Yield CDS Index 535.0 +15.9%
- European Financial Sector CDS Index 82.57 +4.39%
- Italian/German 10Y Yld Spread 277.0 +4.25 basis points
- Asia Ex-Japan Investment Grade CDS Index 72.35 +2.93%
- Emerging Market CDS Index 207.58 +5.33%
- iBoxx Offshore RMB China Corporate High Yield Index 162.77 +.05%
- 2-Year Swap Spread 8.50 -1.5 basis points
- TED Spread 11.75 -1.5 basis points
- 3-Month EUR/USD Cross-Currency Basis Swap -18.75 -1.75 basis points
Economic Gauges:
- Bloomberg Emerging Markets Currency Index 65.95 -.62%
- 3-Month T-Bill Yield 2.40% -2.0 basis points
- Yield Curve 21.50 +1.0 basis point
- China Iron Ore Spot 91.90 USD/Metric Tonne -3.26%
- Citi US Economic Surprise Index -38.30 +9.7 points
- Citi Eurozone Economic Surprise Index -15.60 +1.1 points
- Citi Emerging Markets Economic Surprise Index -19.50 -.2 point
- 10-Year TIPS Spread 1.85 -2.0 basis points
- 24.9% chance of Fed rate cut at July 31st meeting, 49.6% chance of cut at Sept. 18th meeting
Overseas Futures:
- Nikkei 225 Futures: Indicating -326 open in Japan
- China A50 Futures: Indicating -421 open in China
- DAX Futures: Indicating +23 open in Germany
Portfolio:
- Lower: On losses in my retail/industrial/biotech/medical/tech sector longs
- Disclosed Trades: None
- Market Exposure: 50% Net Long
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